BSX Options History — November 2008

In November 2008, BSX traded between $5.48 and $8.94. ATM implied volatility averaged 104.9%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 29.6%. IV traded below realized volatility by 5.5% (HV 20d: 110.4%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.58.

Notable Days

  • 2008-11-21: Highest Volume — 13,194 contracts
  • 2008-11-12: Largest IV spike — 17.6% change
  • 2008-11-24: Highest IV Rank — 74.3%
  • 2008-11-24: Largest Expected Move — 37.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.30$5.48$8.94$8.84$6.17
Max Pain$8.68$7.50$12.50$12.50$7.50
ATM IV104.9%78.5%131.1%86.0%112.3%
Expected Move29.6%22.5%37.6%24.7%32.2%
HV 20d110.4%81.3%131.5%131.5%110.6%
HV 60d97.7%89.2%107.9%89.2%107.9%
IV Rank56.5%38.7%74.3%43.9%61.3%
IV Percentile96.1%91.3%99.6%92.5%95.6%
Term Structure-2.2%-16.3%5.4%-3.4%-1.9%
VWIV99.1%70.5%122.5%88.3%101.8%
Skew 25d14.4%-1.0%37.0%8.0%9.4%
Skew 10d28.9%-8.2%61.9%31.6%-8.2%
Call IV 25d92.9%72.1%116.8%81.6%101.1%
Put IV 25d107.3%82.0%129.1%89.6%110.6%
Bid-Ask Spread %15.4711.5220.4115.1515.27
Gamma HHI0.300.290.330.300.33
Net GEX-967.0K-1.4M-471.4K-1.3M-660.5K
Net DEX145.3M131.2M157.8M133.1M136.4M
Net VEX-559.0K-796.9K-332.9K-781.5K-381.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.0212.640.024.86
Total Volume5,044.21141113,19411,5241,882
Total OI628,648.421556,796654,863638,718559,628

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$8.84$12.5086.0%24.7%131.5%43.9%88.3%8.0%-3.4%-1.3M133.1M-781.5K0.0215.15N/AN/A11,340184288,648350,070
2008-11-04$8.94$12.5078.8%22.6%131.2%38.9%79.7%20.6%1.9%-1.4M131.2M-796.9K0.1416.17N/AN/A961130287,190350,000
2008-11-05$8.77$12.5078.5%22.5%125.8%38.7%80.3%3.6%1.4%-1.4M134.6M-766.8K0.0320.14N/AN/A7,455208287,892349,925
2008-11-06$8.17$12.5090.6%26.0%126.2%47.0%91.2%0.5%-1.9%-1.2M144.4M-696.9K0.4911.97N/AN/A6,9893,430293,153350,027
2008-11-07$8.55$7.5096.1%25.7%116.3%50.8%88.5%17.1%2.5%-1.4M145.0M-718.5K1.4618.61N/AN/A1,3892,032293,023349,854
2008-11-10$8.27$10.00101.9%25.9%81.3%54.7%70.5%19.1%5.4%-1.3M148.6M-667.1K0.2219.08N/AN/A1,318286292,832350,544
2008-11-11$7.88$7.5096.8%26.5%82.5%51.3%87.5%18.1%4.1%-1.1M150.8M-620.4K12.6413.95N/AN/A89211,273293,145349,984
2008-11-12$7.01$7.50113.9%29.9%89.4%63.0%104.0%9.8%-4.2%-917.6K153.0M-554.8K3.0315.56N/AN/A2,0876,314293,447358,883
2008-11-13$7.81$7.5097.3%27.9%98.9%51.6%96.9%19.7%0.4%-1.1M154.4M-636.7K4.4716.67N/AN/A1,2435,558294,465360,398
2008-11-14$7.39$7.50100.7%28.9%100.4%53.2%101.2%12.6%-3.9%-1.0M154.9M-581.7K0.2018.03N/AN/A2,049405294,857358,285
2008-11-17$7.19$7.50103.2%29.6%99.8%54.9%114.9%17.5%-3.0%-943.7K154.9M-559.0K0.5615.74N/AN/A266148295,319357,748
2008-11-18$7.26$7.50101.5%29.1%99.7%53.7%102.4%24.8%1.5%-975.3K157.8M-549.5K0.7613.53N/AN/A1,3611,037294,345357,669
2008-11-19$6.55$7.50109.3%31.3%104.2%59.2%119.7%12.4%0.2%-690.8K157.2M-452.9K8.0520.41N/AN/A2101,690295,207357,015
2008-11-20$5.48$7.50125.8%36.1%118.5%70.7%122.5%-1.0%-4.0%-471.4K147.0M-332.9K0.5814.55N/AN/A2,8261,653295,257356,005
2008-11-21$6.14$7.50130.8%37.5%126.6%74.1%108.4%37.0%-11.2%-586.3K155.7M-399.9K10.6913.30N/AN/A1,12912,065297,060357,125
2008-11-24$6.04$7.50131.1%37.6%121.4%74.3%111.5%19.3%-16.3%-646.5K133.4M-376.6K0.6012.32N/AN/A2,7901,675241,407315,389
2008-11-25$6.12$7.50122.6%35.1%117.1%68.4%104.2%14.6%-6.5%-649.0K135.3M-377.0K0.0711.52N/AN/A1,07975242,565316,490
2008-11-26$6.06$7.50115.1%33.0%115.5%63.2%108.7%10.9%-2.6%-629.9K134.0M-369.9K0.1511.87N/AN/A35853242,961316,508
2008-11-28$6.17$7.50112.3%32.2%110.6%61.3%101.8%9.4%-1.9%-660.5K136.4M-381.4K4.8615.27N/AN/A3211,561243,072316,556